Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance (Q1732239)

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Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
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    Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance (English)
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    22 March 2019
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    fixed-rate mortgages
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    jump-diffusion models
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    option pricing
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    complementarity problem
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    numerical methods
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    augmented Lagrangian active set formulation
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